Selective Inference for Clustering Under Unknown Covariance

Yiqun T. Chen, Lucy L. Gao

Unsupervised clustering is widely used to discover underlying group structure, after which researchers often seek to validate these groups via post-hoc hypothesis testing on the population means. However, using the same data both to form clusters and to test for a difference in means inflates the Type I error rate. Recent work in selective inference has proposed solutions when the underlying data are drawn from a multivariate Gaussian distribution with a known covariance matrix or an unknown isotropic covariance matrix. We propose a new selective test for the difference in means between two clusters that provably controls the Type I error rate under an arbitrary unknown covariance matrix. Our test statistic does not require estimating the feature covariance matrix; instead, it leverages a Monte Carlo sampling procedure over the set of orthogonal matrices. We show that this new selective test can be computed efficiently, and we derive closed-form solutions when clusters are formed using k-means or hierarchical clustering. In simulations, we demonstrate that our proposed p-value controls the selective Type I error rate and achieves substantial power, and we illustrate its…